Get ready for the Dec-Mar Treasury roll

Inform your Dec19-Mar20 Treasury roll strategy with our Pace of the Roll tool, now featuring more granular historical filters for comparing the pace of the current roll to past periods.

Pace of Roll tool

Asset Class Navigation

10-Year T-Note Margins

Exchange Asset Class Spread Products Type Ratio Side Start Period End Period Credit
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 80%
LII - 12-YEAR ERIS SWAP FUTURES 1 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 80%
LII - 12-YEAR ERIS SWAP FUTURES 1 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 06/2019 09/2019
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 12/2018 03/2019
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 06/2018 09/2018
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 12/2017 03/2018
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 06/2017 09/2017
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 5 A All dates 80%
LIB - 7-YEAR ERIS SWAP FUTURES 7 B 03/2019 06/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 12/2016 03/2017
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 06/2016 09/2016
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 12/2015 03/2016
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 06/2015 09/2015
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 12/2014 03/2015
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 B All dates 80%
F1U - 5-YEAR USD MAC SWAP FUTURES 3 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 06/2014 09/2014
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 4 B All dates 80%
LIW - 5-YEAR ERIS SWAP FUTURES 7 A 06/2019 09/2019
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 12/2013 03/2014
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 4 B All dates 80%
LIW - 5-YEAR ERIS SWAP FUTURES 7 A 12/2018 03/2019
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 4 B All dates 80%
LIW - 5-YEAR ERIS SWAP FUTURES 7 A 06/2018 09/2018
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 4 B All dates 80%
LIW - 5-YEAR ERIS SWAP FUTURES 7 A 12/2017 03/2018
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 4 B All dates 80%
LIW - 5-YEAR ERIS SWAP FUTURES 7 A 06/2017 09/2017
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 4 B All dates 80%
LIW - 5-YEAR ERIS SWAP FUTURES 7 A 12/2016 03/2017
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 4 B All dates 80%
LIW - 5-YEAR ERIS SWAP FUTURES 7 A 06/2016 09/2016
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 75%
66 - 10Y INTEREST RATE SWAP FUTURES 1 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 4 A All dates 71%
UBE - LONG TERM U.S. TREASURY BOND FUTURE 1 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 3 A All dates 70%
LIE - 30-YEAR ERIS SWAP FUTURES 2 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 5 B All dates 70%
B1U - 30-YEAR USD MAC SWAP FUTURES 3 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 3 A All dates 70%
LIO - 20-YEAR ERIS SWAP FUTURES 2 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 70%
NG - 5-YR INTEREST RATE SWAP FUTURES 1 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 70%
LID - 4-YEAR ERIS SWAP FUTURES 2 A 09/2019 06/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 70%
LID - 4-YEAR ERIS SWAP FUTURES 2 A 03/2019 06/2019
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 70%
LID - 4-YEAR ERIS SWAP FUTURES 2 A 09/2018 12/2018
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 70%
LID - 4-YEAR ERIS SWAP FUTURES 2 A 03/2018 06/2018
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 3 B All dates 70%
CME SR3 - THREE-MONTH SOFR FUTURES 1 A 09/2020 06/2021
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 3 B All dates 70%
CME SR3 - THREE-MONTH SOFR FUTURES 1 A 09/2022 06/2023
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 70%
CME SR3 - THREE-MONTH SOFR FUTURES 3 A 09/2020 06/2021
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 3 B All dates 70%
CME SR3 - THREE-MONTH SOFR FUTURES 1 A 09/2021 06/2022
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 70%
LID - 4-YEAR ERIS SWAP FUTURES 2 A 09/2017 12/2017
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 70%
CME ED - EURODOLLAR FUTURES 5 B 12/2021 09/2022
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 70%
CME ED - EURODOLLAR FUTURES 5 B 12/2020 09/2021
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 70%
CME ED - EURODOLLAR FUTURES 5 B 12/2021 09/2022
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 70%
CME ED - EURODOLLAR FUTURES 5 B 12/2020 09/2021
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 70%
CME ED - EURODOLLAR FUTURES 5 B 12/2022 09/2023
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 70%
CME ED - EURODOLLAR FUTURES 5 B 12/2022 09/2023
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 70%
CME ED - EURODOLLAR FUTURES 5 B 12/2023 09/2024
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 70%
CME ED - EURODOLLAR FUTURES 5 B 12/2023 09/2024
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 70%
CME ED - EURODOLLAR FUTURES 5 B 12/2025 09/2026
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 70%
CME ED - EURODOLLAR FUTURES 5 B 12/2024 09/2025
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 70%
CME ED - EURODOLLAR FUTURES 5 B 12/2026 09/2027
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 70%
CME ED - EURODOLLAR FUTURES 5 B 12/2025 09/2026
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 70%
CME ED - EURODOLLAR FUTURES 5 B 12/2026 09/2027
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 70%
CME ED - EURODOLLAR FUTURES 5 B 12/2027 09/2028
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 70%
CME ED - EURODOLLAR FUTURES 5 B 12/2024 09/2025
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 70%
CME ED - EURODOLLAR FUTURES 5 B 12/2028 09/2029
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 70%
CME ED - EURODOLLAR FUTURES 5 B 12/2027 09/2028
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 70%
LID - 4-YEAR ERIS SWAP FUTURES 2 A 03/2017 06/2017
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 70%
LID - 4-YEAR ERIS SWAP FUTURES 2 A 09/2016 12/2016
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 4 A All dates 70%
LIW - 5-YEAR ERIS SWAP FUTURES 7 B 12/2015 03/2016
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 70%
LID - 4-YEAR ERIS SWAP FUTURES 2 A 03/2016 06/2016
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 5 B All dates 65%
E1U - 20-YEAR USD MAC SWAP FUTURES 4 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 B All dates 65%
LIC - 3-YEAR ERIS SWAP FUTURES 5 A 06/2020 06/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 65%
26 - 2 YEAR TREASURY NOTE FUTURES 2 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 65%
CME SR3 - THREE-MONTH SOFR FUTURES 3 A 03/2020 06/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 65%
CME SR3 - THREE-MONTH SOFR FUTURES 3 A 03/2020 06/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 65%
CME ED - EURODOLLAR FUTURES 5 B 02/2020 09/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 65%
CME ED - EURODOLLAR FUTURES 5 B 02/2020 09/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 5 A All dates 60%
I3 - 30Y INTEREST RATE SWAP FUTU 2 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 3 B All dates 60%
TN - ULTRA 10-YEAR U S TREASURY NOTE FUT 2 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 4 B All dates 60%
S1U - 7-YEAR USD MAC SWAP FUTURES 5 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 60%
7I - 7-YR INTEREST RATE SWAP FUT 1 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 60%
T1U - 2-YEAR USD MAC SWAP FUTURES 4 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 5 A All dates 60%
LIB - 7-YEAR ERIS SWAP FUTURES 7 B 12/2013 12/2018
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 55%
41 - 30 DAY FED FUND FUTURES 2 B 11/2020 10/2022
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 55%
41 - 30 DAY FED FUND FUTURES 2 B 06/2020 10/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 55%
41 - 30 DAY FED FUND FUTURES 2 B 06/2020 10/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 55%
CME SR1 - ONE-MONTH SOFR FUTURES 2 A 03/2020 11/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 55%
CME SR1 - ONE-MONTH SOFR FUTURES 2 A 02/2020 02/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 55%
CME SR1 - ONE-MONTH SOFR FUTURES 2 A 01/2020 01/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 90%
N1U - 10-YEAR USD MAC SWAP FUTURES 1 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 90%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 12/2019 06/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 3 A All dates 50%
EQUITY INDEX YM - E-MINI DOW ($5) FUTURES 1 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 3 A All dates 50%
CMX METALS CX-GC - COMEX 100 GOLD FUTURES 1 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 B All dates 50%
LIC - 3-YEAR ERIS SWAP FUTURES 5 A 12/2019 03/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 B All dates 50%
LIC - 3-YEAR ERIS SWAP FUTURES 5 A 06/2019 09/2019
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 B All dates 50%
LIC - 3-YEAR ERIS SWAP FUTURES 5 A 12/2018 03/2019
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 B All dates 50%
LIC - 3-YEAR ERIS SWAP FUTURES 5 A 06/2018 09/2018
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 B All dates 50%
LIC - 3-YEAR ERIS SWAP FUTURES 5 A 12/2017 03/2018
CME EQUITY INDEX TRF - BTIC ON S&P 500 TOTAL RETURN INDEX Delta 1 A All dates 45%
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES 5 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 45%
CME FX JY - JAPANESE YEN FUTURES 1 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 45%
LIT - 2-YEAR ERIS SWAP FUTURE 4 A 12/2019 06/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 40%
LIT - 2-YEAR ERIS SWAP FUTURE 4 B 06/2019 09/2019
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 40%
CME ED - EURODOLLAR FUTURES 5 B 11/2019 01/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 40%
LIT - 2-YEAR ERIS SWAP FUTURE 4 A 12/2018 03/2019
CME EQUITY INDEX SP - S&P 500 FUTURES Delta 1 A All dates 35%
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES 25 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 35%
41 - 30 DAY FED FUND FUTURES 2 B 03/2020 05/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 35%
41 - 30 DAY FED FUND FUTURES 2 B 03/2020 05/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 35%
41 - 30 DAY FED FUND FUTURES 2 B 01/2020 02/2020
CME EQUITY INDEX NQ - E-MINI NASDAQ 100 FUTURES Delta 1 A All dates 30%
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES 3 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 30%
CME EM - ONE MONTH EURODOLLAR FUTURES 5 B All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Scan 5 All dates 68%
21 - 10Y TREASURY NOTE FUTURES 12 All dates
25 - 5 YR TREASURY NOTE FUTURES 18 All dates
TN - ULTRA 10-YEAR U S TREASURY NOTE FUT 8 All dates
UBE - LONG TERM U.S. TREASURY BOND FUTURE 3 All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 4 B All dates 85%
LIW - 5-YEAR ERIS SWAP FUTURES 7 A 06/2020 06/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 4 B All dates 85%
LIW - 5-YEAR ERIS SWAP FUTURES 7 A 12/2019 03/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 3 B All dates 83%
25 - 5 YR TREASURY NOTE FUTURES 5 A All dates